It's not cheating. It's an interpretation of the movement of the horse as steps. If you look through the posts in the past 100 years or so, you'll find lots of comments about steps being recorded for a range of activities, including swimming, driving cars etc. Unfortunately it's not an exact science. Until such a time as step counting is separated from an activity, either by default or by a manual switch, it is what it is.
If it really upsets you, contact Garmin Support via the Support Centre tab at the top.
